I wouldn't say it's a "pain". I had a great deal of fun sleeving mine. Crank up the music, have a couple cold beers ready and do it leisurely. It was very relaxing. Definitely took some time and some patience, but very relaxing.
FrozenCPU will do it for you, but I'm not sure what sleeve they use - I imagine it's not something as slick as MDPC sleeve.
If you don't want to do it yourself, I believe there are a few people in the forums who offer services.
Another route would be to sleeve the "easier" ones (fans, mostly) and just buy extensions for the visible stuff. NZXT makes some decent extensions - they are all solid 1 color configurations though, I believe.
Price isn't too bad. I prefer my heatshrink to be a bit smaller than they use but that's just being picky.
Anyway, do it yourself if you have the time - you won't be disappointed - and just buy whatever is in your budget whether it be extensions or a fully sleeved frozenCPU PSU.